public static void Main(string[] args)
{
NbboServiceImpl s = new NbboServiceImpl();
/*
* test(s);
* NBBO nbbo = (NBBO)s.GetNbboData("IBM");
* Console.WriteLine(nbbo);
*/
PricesGenerator generator = new PricesGenerator(s);
generator.Start();
while (true)
{
Console.Write("enter nbbo ticker or depth ticker(ctrl-c to kill):");
string cmd = Console.ReadLine();
string[] tokens = cmd.Split(' ');
if (tokens.Length > 1)
{
if (tokens[0].Equals("nbbo"))
{
NBBO nbbo = (NBBO)s.GetNbboData(tokens[1].ToUpper());
if (nbbo != null)
{
Console.WriteLine(nbbo);
}
else
{
Console.WriteLine("ticker not found");
}
}
else
{
KeyValuePair <string, Quote>[] depth = (KeyValuePair <string, Quote>[])s.GetMarketData(tokens[1].ToUpper());
if (depth != null)
{
foreach (KeyValuePair <string, Quote> item in depth)
{
Console.WriteLine(item.Value);
}
}
else
{
Console.WriteLine("ticker not found");
}
}
}
}
}
/// <summary>
///
/// data format:
/// "Name=IBM,Ask=5.34,AskSize=100,Bid=4.11,BidSize=200,Last=3.4,Exch=NYSE";
/// "Name=VOD,Ask=3.12,AskSize=100,Last=2.6,Exch=ARCA";
/// "Name=VOD,Bid=1.1,BidSize=300,Exch=ARCA";
/// </summary>
/// <param name="data"></param>
public void OnTick(string data)
{
Interlocked.Increment(ref counter);
Quote q = parse(data);
NbboWithDepth nbboWithDepth;
ConcurrentDictionary <string, Quote> depth;
NBBO nbbo;
bool exists = cache.TryGetValue(q.Symbol, out nbboWithDepth);
if (!exists)
{
depth = new ConcurrentDictionary <string, Quote>();
nbbo = new NBBO();
nbboWithDepth = new NbboWithDepth {
Nbbo = nbbo, Depth = depth
};
cache.TryAdd(q.Symbol, nbboWithDepth);
}
else
{
depth = nbboWithDepth.Depth;
nbbo = nbboWithDepth.Nbbo;
}
Quote oldQ;
exists = depth.TryGetValue(q.Exchange, out oldQ);
if (!exists)
{
depth.TryAdd(q.Exchange, q);
}
else
{
// combine bid and ask into one quote object
Quote newQuote;
if (q.Bid > 0 && q.Ask > 0)
{
newQuote = new Quote {
Symbol = q.Symbol, Bid = q.Bid, BidSize = q.BidSize, Ask = q.Ask, AskSize = q.AskSize, Exchange = q.Exchange, Last = q.Last
};
}
else if (q.Ask > 0)
{
newQuote = new Quote {
Symbol = q.Symbol, Bid = oldQ.Bid, BidSize = oldQ.BidSize, Ask = q.Ask, AskSize = q.AskSize, Exchange = q.Exchange, Last = q.Last
};
}
else if (q.Bid > 0)
{
newQuote = new Quote {
Symbol = q.Symbol, Bid = q.Bid, BidSize = q.BidSize, Ask = oldQ.Ask, AskSize = oldQ.AskSize, Exchange = q.Exchange, Last = q.Last
};
}
else
{
newQuote = new Quote {
Symbol = q.Symbol, Bid = oldQ.Bid, BidSize = oldQ.BidSize, Ask = oldQ.Ask, AskSize = oldQ.AskSize, Exchange = q.Exchange, Last = q.Last
};
}
depth.AddOrUpdate(q.Exchange, newQuote, (key, oldValue) => newQuote);
q = newQuote;
}
//if bid ask is clearly outside out NBBO, no need to update nbbo.
if (q.Bid < nbbo.Bid && q.Ask > nbbo.Ask && nbbo.Bid != 0 && nbbo.Ask != 0)
{
return;
}
decimal nbboBid = decimal.MinValue, nbboAsk = decimal.MaxValue;
int bidSize = 0, askSize = 0;
foreach (KeyValuePair <string, Quote> item in depth)
{
if (item.Value.Bid > nbboBid)
{
nbboBid = item.Value.Bid;
bidSize = item.Value.BidSize;
}
else if (item.Value.Bid == nbboBid)
{
bidSize += item.Value.BidSize;
}
if (item.Value.Ask < nbboAsk)
{
nbboAsk = item.Value.Ask;
askSize = item.Value.AskSize;
}
else if (item.Value.Ask == nbboAsk)
{
askSize += item.Value.AskSize;
}
}
NBBO newNbbo = new NBBO {
Symbol = q.Symbol, Bid = nbboBid, BidSize = bidSize, Ask = nbboAsk, AskSize = askSize
};
nbboWithDepth = new NbboWithDepth {
Nbbo = newNbbo, Depth = depth
};
cache.AddOrUpdate(q.Symbol, nbboWithDepth, (key, oldValue) => nbboWithDepth);
}
private void calculateNBBO(Order order)
{
//Console.WriteLine("Starting NBBO clculations..... " + order.Name);
// check if NBBO is created for this security
lock (locker)
{
if (!cache.Contains("NBBO" + order.Name))
{
NBBO nbb = new NBBO();
nbb.Security = order.Name;
cache.Add(new CacheItem("NBBO" + order.Name, nbb), policy);
}
}
NBBO nbbo = (NBBO)cache.Get("NBBO" + order.Name);
lock (nbbo)
{
HashSet <string> exchanges = (HashSet <string>)cache.Get(order.Name);
List <Order> orders = new List <Order>();
foreach (string exchange in exchanges)
{
Order o = (Order)cache.Get(order.Name + exchange);
orders.Add(o);
}
if (orders.Count() == 0)
{
return;
}
// find the orders having maximum bid and min ask prices
double maxbid = orders.Max(o => o.Bid);
double minask = orders.Min(o => o.Ask);
IEnumerable <Order> maxo = orders.Where(o => o.Bid != 0 && o.Bid == maxbid);
IEnumerable <Order> mino = orders.Where(o => o.Ask != 0 && o.Ask == minask);
Console.WriteLine("Maxbid - " + maxbid + " list - " + maxo.Count());
Console.WriteLine("Minask - " + minask + " list - " + mino.Count());
long maxbidsize = 0;
long minasksize = 0;
foreach (Order o in maxo)
{
maxbidsize += o.BidSize;
}
foreach (Order o in mino)
{
minasksize += o.AskSize;
}
if (maxbidsize > 0)
{
nbbo.NbboBid = maxbid;
nbbo.NbboBidSize = maxbidsize;
}
if (minasksize > 0)
{
nbbo.NbboAsk = minask;
nbbo.NbboAskSize = minasksize;
}
Console.WriteLine(Thread.CurrentThread.Name + "::::NBBO:::" +
"Security: " + nbbo.Security + ", Bid Price: " + nbbo.NbboBid + ", Bid Size: " + nbbo.NbboBidSize +
", Ask Price: " + nbbo.NbboAsk + ", Ask Size: " + nbbo.NbboAskSize);
}
}